EconPapers    
Economics at your fingertips  
 

Comparison of Volatility Measures: a Risk Management Perspective

Christian Brownlees () and Giampiero Gallo ()

Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"

Abstract: In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized volatility, bipower realized volatility, two scales realized volatility, realized kernel as well as the daily range. We propose a dynamic model with a flexible trend specification bonded with a penalized maximum likelihood estimation strategy: the P-Spline Multiplicative Error Model. Exploiting UHFD volatility measures, VaR predictive ability is considerably improved upon relative to a baseline GARCH but not so relative to the range; there are relevant gains from modeling volatility trends and using realized kernels that are robust to dependent microstructure noise.

Keywords: Volatility Measures; VaR Forecasting; GARCH; MEM; P-Spline. (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-fmk, nep-for, nep-mst and nep-rmg
Date: 2008-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
http://local.disia.unifi.it/ricerca/pubblicazioni/ ... s/2008/wp2008_03.pdf (application/pdf)

Related works:
Journal Article: Comparison of Volatility Measures: a Risk Management Perspective (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fir:econom:wp2008_03

Access Statistics for this paper

More papers in Econometrics Working Papers Archive from Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Viale G.B. Morgagni, 59 - I-50134 Firenze - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Francesco Calvori (). This e-mail address is bad, please contact .

 
Page updated 2019-07-13
Handle: RePEc:fir:econom:wp2008_03